Events Calendar

Emissions Market Models and the Price of Carbon

Math Finance Colloquium: "Emissions Market Models and the Price of Carbon"Speaker: Prof. Rene Carmona, Princeton UniversityMonday, October 5, 2009, KAP 414ABSTRACT: The first part of the talk will be of an introductory nature.
Its goal is to show how mathematical models can be used to study cap-and-trade schemes such as the European Union Emission Trading Scheme and those touted for implementation in the US. We shall concentrate on the design of the allowance allocation, and illustrate numerically the effects of taxes and auctions on consumer costs and producer windfall profits.The second part will be of a more "financial mathematics" nature: motivated by the equilibrium models described in the first part, we propose binary martingales as models for the prices of CO2 emission certificates, and we show how options on these certificates could or should be priced. These options are already traded but their pricing (or miss-pricing) is still a mystery for many.BIO: Professor Carmona is the Paul Wythes '55 Professor of Engineering and Finance at Department of Operations Research and Financial Engineering at Princeton University. His research.focus lies largely in financial mathematics and statistical analyses. Much of his research has dealt with large-time asymptotic stochastic systems, stochastic partial differential equations and signal analysis, time-frequency analysis and the study of wavelets.

Location: Kaprielian Hall (KAP) - 414

Audiences: Everyone Is Invited

Contact: Georgia Lum